Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0071
Annualized Std Dev 0.1438
Annualized Sharpe (Rf=0%) -0.0495

Row

Daily Return Statistics

Close
Observations 5587.0000
NAs 1.0000
Minimum -0.1526
Quartile 1 -0.0036
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0040
Maximum 0.1123
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0091
Skewness -0.9515
Kurtosis 32.9046

Downside Risk

Close
Semi Deviation 0.0067
Gain Deviation 0.0066
Loss Deviation 0.0079
Downside Deviation (MAR=210%) 0.0117
Downside Deviation (Rf=0%) 0.0067
Downside Deviation (0%) 0.0067
Maximum Drawdown 0.5625
Historical VaR (95%) -0.0124
Historical ES (95%) -0.0220
Modified VaR (95%) -0.0112
Modified ES (95%) -0.0112
From Trough To Depth Length To Trough Recovery
1999-01-07 2008-10-10 2012-10-26 -0.5625 3475 2455 1020
2012-12-07 2020-03-18 NA -0.4079 2085 1831 NA
2012-11-02 2012-11-15 2012-11-30 -0.0495 20 10 10
1999-01-05 1999-01-05 1999-01-06 -0.0114 2 1 1
2012-12-04 2012-12-04 2012-12-05 -0.0041 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -1.2 0 -1.2 -0.4 -0.9 0 0.5 -1.5 2 -0.5 -0.5 2.1 -1.7
2000 0.5 0.5 0.6 0 1.2 0 1.1 0.5 -0.5 -0.6 0 0.5 3.9
2001 -0.8 -0.5 1.4 -0.1 -0.2 -0.2 0.2 0.4 1.2 1 0.2 0.6 3.2
2002 0.2 -0.1 0.1 0.7 0.8 -0.1 0.1 0.3 -0.5 0.1 1.1 0.3 3.1
2003 0.7 0.1 -0.1 0.5 0.3 1.2 -0.3 0.5 0.3 0.5 -0.7 0 2.9
2004 0.3 -0.1 0.4 0.3 0.9 0.7 0.6 0 -0.2 -0.1 -0.6 -0.1 2.2
2005 -0.1 0.7 1.4 0.7 0.3 0 0.1 1.1 -0.1 0.3 1 -0.1 5.3
2006 -0.3 -0.3 -0.1 -0.5 0 0.5 0.8 0.2 -0.1 0.3 0.4 0.2 1.1
2007 0.4 -0.1 -0.3 -0.1 -0.2 0.8 0 0.6 0.4 -0.9 0 0.6 1.4
2008 -0.6 -2.2 0.4 0.3 -0.2 -0.2 -0.1 -0.3 2.5 -0.4 -3.9 1.1 -3.7
2009 1 0.5 1.2 0.1 0.7 0.6 0 0.5 0.6 -0.1 0.5 -0.3 5.3
2010 0.2 0.2 0 -0.4 -0.3 0.2 1.8 -0.1 0.2 0.4 -0.8 2.7 4.2
2011 0.8 0.2 1.9 0.1 -0.2 0.2 1.7 -0.4 0.2 0.1 0.1 0.7 5.5
2012 -0.4 -0.2 0.6 0.4 -0.1 0.1 0.9 -0.1 0.6 0 0.8 0.4 2.9
2013 -0.2 1 0.1 0.1 -2 -0.2 -0.7 1 0.2 -0.8 0.2 0.2 -1.1
2014 0.8 0.5 -0.5 0.9 -0.6 -0.3 0.1 0.1 0.4 -0.7 -0.4 -0.1 0.4
2015 0.1 1.4 0.4 -0.2 -0.1 0.6 -0.1 0.3 0.1 0.1 0.4 0.6 3.6
2016 -0.1 0.3 -0.4 0 0.6 0.4 -0.4 -0.1 -0.5 1 -0.8 -0.1 -0.1
2017 -0.5 -0.5 0 0.4 0.5 0.3 0.4 0.5 -0.4 0.1 -0.2 -0.3 0.3
2018 -0.2 0 0.2 0.5 0.4 0.2 0.1 0 -0.2 0.9 -0.3 2.2 3.7
2019 0.3 0 -0.2 0.2 0.3 0.1 0.6 0.1 -0.2 0.1 -0.2 0.2 1.4
2020 -0.1 -1.6 -2.5 0.4 0.7 0.6 0.5 -0.1 0.4 0.3 -0.1 0.9 -0.6
2021 -0.2 -0.1 0 NA NA NA NA NA NA NA NA NA -0.3

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart